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Variance Targeting Estimation of Multivariate GARCH Models
16 references·0 citing·29 second hop
Variance Targeting Estimation of Multivariate GARCH Models (2014)Variance Targeting Estimation of Multivar…GARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…On the forecasting accuracy of multivariate GARCH models (2011)On the forecasting accuracy o…Merits and Drawbacks of Variance Targeting in GARCH Models (2011)Merits and Drawbacks of Varia…GARCH Models (2010)GARCH ModelsMultivariate GARCH Models (2009)Multivariate GARCH ModelsBreak detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. (2008)Multivariate GARCH models To …AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (2004)AN EXTENDED CONSTANT CONDITIO…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Dynamic Conditional Correlation (2002)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Chapter 15 Volatility and Correlation Forecasting (2006)What is the best risk measure in practice? A comparison of standard measures (2015)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)Inference for single and multiple change‐points in time series (2013)Extensions of some classical methods in change point analysis (2014)Uniform change point tests in high dimension (2015)On the Modeling of Financial Time Series (2014)GARCH Modelling of Cryptocurrencies (2017)Deep learning for decision making and the optimization of socially responsible investments and portfolio (2019)Robust Econometric Inference for Stock Return Predictability (2014)Exponential GARCH Modeling With Realized Measures of Volatility (2015)
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References

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  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
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  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • 2009Break detection in the covariance structure of multivariate time series models247 cited
  • 2011On the forecasting accuracy of multivariate GARCH models236 cited
  • 2008Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.115 cited
  • 2004AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

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110 cited
  • 2011Merits and Drawbacks of Variance Targeting in GARCH Models92 cited
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